City Fund Management : PF Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Feb Performance -0.07% Min Investment $ 1,000k Mgmt. Fee 1.00% Perf. Fee 25.00% Annualized Vol 0.71% Sharpe (RFR=1%) -0.13 CAROR - Assets $ 20.0M Worst DD -0.07 S&P Correlation -1.00 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page Growth of 1,000 - VAMI Monthly Performance Export Data Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Period Returns Program / Index Feb Qtr YTD 1yr 3yr 5yr 10yr Since1/2014 PF Strategy -0.07 - - - - - - 0.15 S&P 500 4.31 - - - - - - 94.36 +/- S&P 500 -4.38 - - - - - - -94.21 Strategy Description SummaryStrategy Description A very short term (Intraday) diversified futures trading program – the manager will initially focus only on the 5 most liquid futures markets ES(E-mini S&P500), FESX(Eurostoxx50), ZB(LongTbonds), FGBL(Eurobundfutures) and BrentCrude. The manager also intends to... Read More Account & Fees Type Managed Account Minimum Investment $ 1,000k Trading Level Incremental Increase $ 500k CTA Max Funding Factor Management Fee 1.00% Performance Fee 25.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency RT/YR/$M Avg. Margin-to-Equity Targeted Worst DD Worst Peak-to-Trough Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 20.00% Intraday 80.00% Decision-Making Discretionary 0% Systematic 100.00% Strategy Composition Stock Indices 75.00% Energy 25.00% SummaryStrategy Description A very short term (Intraday) diversified futures trading program – the manager will initially focus only on the 5 most liquid futures markets ES(E-mini S&P500), FESX(Eurostoxx50), ZB(LongTbonds), FGBL(Eurobundfutures) and BrentCrude. The manager also intends to hold very limited to almost no overnight positions.Investment StrategyThe fund focuses on catching short term periodic spikes/drops in market volumes in conjunction with prices rather than focusing purely on any shorter term price trends or even net directional trends at the overall market level. The volumetric basis of their trading makes them much more immune to shorter term market reversalsthanmosttraditionalCTAfundswithaverageholdingperiodsofaround1-5daysRisk ManagementStrict profit taking algorithms combined with tight stop losses on each market will allow a small bias towards towards winning trades to build up over time. Performance simulations exhibit low correlations to both LT and STCTA’s hence it can act as a suitable stand alone alpha generator with strong diversification benefits for existing CTA Trader portfolios. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Reward Compound RoR: Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year. Drawdown Report Depth Length (Mos.) Recovery (Mos.) Peak Valley -0.07 1 - 1/1/2014 2/1/2014 Show More Consecutive Gains Run-up Length (Mos.) Start End 0.22 1 1/1/2014 1/1/2014 Show More Consecutive Losses Run-up Length (Mos.) Start End -0.07 1 2/1/2014 2/1/2014 Show More Top Performer Badges Index Award Type Rank Performance Period Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel